CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 27-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-May-2011 |
27-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1460 |
1.1557 |
0.0097 |
0.8% |
1.1384 |
| High |
1.1562 |
1.1749 |
0.0187 |
1.6% |
1.1749 |
| Low |
1.1452 |
1.1545 |
0.0093 |
0.8% |
1.1240 |
| Close |
1.1546 |
1.1721 |
0.0175 |
1.5% |
1.1721 |
| Range |
0.0110 |
0.0204 |
0.0094 |
85.5% |
0.0509 |
| ATR |
0.0131 |
0.0137 |
0.0005 |
3.9% |
0.0000 |
| Volume |
44,130 |
46,842 |
2,712 |
6.1% |
211,323 |
|
| Daily Pivots for day following 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2284 |
1.2206 |
1.1833 |
|
| R3 |
1.2080 |
1.2002 |
1.1777 |
|
| R2 |
1.1876 |
1.1876 |
1.1758 |
|
| R1 |
1.1798 |
1.1798 |
1.1740 |
1.1837 |
| PP |
1.1672 |
1.1672 |
1.1672 |
1.1691 |
| S1 |
1.1594 |
1.1594 |
1.1702 |
1.1633 |
| S2 |
1.1468 |
1.1468 |
1.1684 |
|
| S3 |
1.1264 |
1.1390 |
1.1665 |
|
| S4 |
1.1060 |
1.1186 |
1.1609 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3097 |
1.2918 |
1.2001 |
|
| R3 |
1.2588 |
1.2409 |
1.1861 |
|
| R2 |
1.2079 |
1.2079 |
1.1814 |
|
| R1 |
1.1900 |
1.1900 |
1.1768 |
1.1990 |
| PP |
1.1570 |
1.1570 |
1.1570 |
1.1615 |
| S1 |
1.1391 |
1.1391 |
1.1674 |
1.1481 |
| S2 |
1.1061 |
1.1061 |
1.1628 |
|
| S3 |
1.0552 |
1.0882 |
1.1581 |
|
| S4 |
1.0043 |
1.0373 |
1.1441 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1749 |
1.1240 |
0.0509 |
4.3% |
0.0144 |
1.2% |
94% |
True |
False |
42,264 |
| 10 |
1.1749 |
1.1189 |
0.0560 |
4.8% |
0.0138 |
1.2% |
95% |
True |
False |
42,179 |
| 20 |
1.1749 |
1.1177 |
0.0572 |
4.9% |
0.0138 |
1.2% |
95% |
True |
False |
42,179 |
| 40 |
1.1749 |
1.0710 |
0.1039 |
8.9% |
0.0130 |
1.1% |
97% |
True |
False |
41,577 |
| 60 |
1.1749 |
1.0680 |
0.1069 |
9.1% |
0.0124 |
1.1% |
97% |
True |
False |
40,207 |
| 80 |
1.1749 |
1.0268 |
0.1481 |
12.6% |
0.0116 |
1.0% |
98% |
True |
False |
30,202 |
| 100 |
1.1749 |
1.0250 |
0.1499 |
12.8% |
0.0107 |
0.9% |
98% |
True |
False |
24,166 |
| 120 |
1.1749 |
1.0153 |
0.1596 |
13.6% |
0.0096 |
0.8% |
98% |
True |
False |
20,140 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2616 |
|
2.618 |
1.2283 |
|
1.618 |
1.2079 |
|
1.000 |
1.1953 |
|
0.618 |
1.1875 |
|
HIGH |
1.1749 |
|
0.618 |
1.1671 |
|
0.500 |
1.1647 |
|
0.382 |
1.1623 |
|
LOW |
1.1545 |
|
0.618 |
1.1419 |
|
1.000 |
1.1341 |
|
1.618 |
1.1215 |
|
2.618 |
1.1011 |
|
4.250 |
1.0678 |
|
|
| Fisher Pivots for day following 27-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1696 |
1.1663 |
| PP |
1.1672 |
1.1605 |
| S1 |
1.1647 |
1.1548 |
|